Season fish: In a small bowl, blend oils. In another small bowl, mix Cajun seasoning and paprika together. Rub tuna all over with about 1 tbsp. oil and then with spice blend. Chill until ready to grill.
In a blender, whirl all chipotle mayo ingredients together. Chill until using.
Prepare toppings and set aside.
Cook fish and toast rolls: Heat a grill or a ridged grill pan to medium high (450°). Season fish on both sides with salt and pepper. Grill fish, lid open, turning once, until seared on the outsides but still pink in the middle third, 2 to 3 minutes total.
Meanwhile, halve bolillos and brush cut sides with remaining 2 tbsp. oil blend. Grill on both sides until toasted, about 2 minutes (or toast in oven or on a cast-iron pan if using a grill pan for fish).
Assemble sandwiches: Spread top half of each roll with some sauce. Layer bottom halves with avocado, fish, and about 1 1/2 tbsp. sauce (enough to drip over the fish), followed by tomato, red onion, and lettuce. Set the tops on and serve with lots of napkins.